The Internationalization of equity markets / edited by Jeffrey A. Frankel.

Format:

Book

Contributor:

Frankel, Jeffrey A.

Series:

National Bureau of Economic Research project report.

A National Bureau of Economic Research project report

Language:

English

Subjects (All):

Securities--Congresses.

Securities.

International finance--Congresses.

International finance.

Stock exchanges--Congresses.

Stock exchanges.

Portfolio management--Congresses.

Portfolio management.

Investments, Foreign--Congresses.

Investments, Foreign.

Physical Description:

1 online resource (428 pages)

Edition:

1st ed.

Place of Publication:

Chicago : University of Chicago Press, c1994.

Language Note:

English

Summary:

This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.

Contents:

Front matter

Contents

Preface

Introduction

1. A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables

2. An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns

3. Tests of CAPM on an International Portfolio of Bonds and Stocks

4. International Equity Transactions and U.S. Portfolio Choice

5. The Effect of Barriers to Equity Investment in Developing Countries

6. International Experiences with Securities Transaction Taxes

7. Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

8. What Moves the Discount on Country Equity Funds?

Contributors

Author Index

Subject Index

Notes:

"The papers were originally presented at a conference held in San Francisco, California, on October 1-2, 1993."--Pref.

Includes bibliographical references and indexes.

ISBN:

9786611430931

9781281430939

1281430935

9780226260211

0226260216

OCLC:

476229549